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The Cross-Sectional Variation of Volatility Risk Premia · Study

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ArticleThe Cross-Sectional Variation of Volatility Risk Premia

Ana González‐Urteaga2014

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Articlebronze2014

The Cross-Sectional Variation of Volatility Risk Premia

Ana González‐Urteaga · Gonzalo A. Rubio

51 citations·0/0 files stored·Journal of Financial Economics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1973Risk, Return, and Equilibrium: Empirical Tests 2003Liquidity Risk and Expected Stock Returns 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 1997Empirical Performance of Alternative Option Pricing Models 1996The Conditional CAPM and the Cross-Section of Expected Returns 2013Betting against beta

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Year2014

Typearticle

Published2014-01-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations51

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jfineco.2015.09.009

openalex_workW2216040652

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